| 随机微分方程的Runge-Kutta数值解法 |
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| 引用本文： | 沈焰焰,施齐焉.随机微分方程的Runge-Kutta数值解法[J].福州大学学报(自然科学版),2009,37(3). |
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| 作者姓名： | 沈焰焰 施齐焉 |
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| 作者单位： | 福州大学数学与计算机科学学院,福建,福州,350002
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| 摘 要： | 提出了求解一类随机常微分方程(SODEs)的3种Runge-Kutta格式:显式Runge-Kutta格式、半隐式Runge-Kutta格式和隐式Runge-Kutta格式.讨论了这3种Runge-Kutta格式的T稳定条件,并给出了部分数值实验结果.
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| 关 键 词： | 随机常微分方程 Runge-Kutta方法 T稳定 |
Runge-Kutta methods for numerical solutions of stochastic ordinary differential equations |
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| SHEN Yan-yan,SHI Qi-yan.Runge-Kutta methods for numerical solutions of stochastic ordinary differential equations[J].Journal of Fuzhou University(Natural Science Edition),2009,37(3). |
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| Authors: | SHEN Yan-yan SHI Qi-yan |
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| Institution: | College of Mathematics and Computer Science;Fuzhou University;Fuzhou;Fujian 350002;China |
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| Abstract: | In this paper,we give three Runge-Kutta numerical schemes for stochastic ordinary differential equations: explicit scheme,semi-implicit scheme and implicit scheme.The conditions of T-stability for the three Runge-Kutta numerical schemes are discussed and partial numerical results for a test linear equation are shown. |
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| Keywords: | stochastic ordinary differential equation Runge-Kutta method T-stability |
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